It was the story the cricketing world found too good to be true -- retired Australian leg-spinner Shane Warne was romancing the Jemima Khan, the former wife of Pakistan cricket legend Imran Khan.

And it was just that.

In a front page story on the cover of Woman's Day magazine, Khan was named as the "other woman" in Warne's life and the cause of the latest split from his ex-wife Simone Callahan.

But Warne, embroiled in a messy public tit-for-tat exchange with Callahan over alleged infidelities, Wednesday dismissed the story as nonsense, saying he was "just friends" with the glamourous Khan.

"There's absolutely no truth in that one whatsoever," he said in Melbourne.

"We're good friends, friends with the family and that's it. Hopefully that all clears it up with you guys."

Warne retired from international cricket this year and moved to England where he attempted to reconcile with Callahan, whom he divorced in 2005.

But the pair now say they have parted for good, with Callahan recently claiming in a paid magazine interview that the relationship ended after Warne accidentally sent her a cheeky text message intended for another woman.

Warne has denied her account but Wednesday said he would not engage in a public feud with the mother of his three children.

"I'm not going to start a tennis match with Simone, backwards and forwards," he said. "Simone knows the truth, that's the end of that one."